RiskVal Fixed Income (RVFI) Weekly Enhancements - 7/22/22


Key Features in this Release:


Market View – WI

  • For user created WI bonds, added option to calculate the WI roll using the ASW/OIS/ESprd/SOFR Z Spline RVS curves

[New] AUD Bond CoD Graph

  • A new AUD Bond CoD graph has been added to the CoD Graph list

USD TBill

  • Added support for the Forward Matched Maturity SOFR Spread & the SOFR Spread Z columns

Bond Roll

  • Added ability for traders to save size of lower graphs

Future CTD

  • Reorganized Future CTD sheet

SSA + Covered

  • Added the function to delete several tabs at a time




Minor Fixes & Enhancements:

Future Calendar Roll: Added support for AUD

Market View:

  • CCY Curve Config: Added the ZPline and CPI curve control as well as a warning to save any changes made

  • WI SSA: Added CMT as a choice under “Spread Method”

  • Curves - NOK: Added support for OIS curve

  • Curves – THB: Added OIS onshore & offshore curves

  • Curves – USD: Added convexity for quarterly SOFR futures


Previous week's release - Future CTD Scenario Analysis, Trade Blotter, Market View, CB Rate Monitor, Sprd/Bfly, and Fed Fund Simulation enhancements